Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0094
Annualized Std Dev 0.1361
Annualized Sharpe (Rf=0%) -0.0692

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1436
Quartile 1 -0.0032
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0035
Maximum 0.1924
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0002
Variance 0.0001
Stdev 0.0086
Skewness 0.0217
Kurtosis 81.7307

Downside Risk

Close
Semi Deviation 0.0063
Gain Deviation 0.0067
Loss Deviation 0.0077
Downside Deviation (MAR=210%) 0.0113
Downside Deviation (Rf=0%) 0.0063
Downside Deviation (0%) 0.0063
Maximum Drawdown 0.5696
Historical VaR (95%) -0.0104
Historical ES (95%) -0.0195
Modified VaR (95%) NA
Modified ES (95%) NA
From Trough To Depth Length To Trough Recovery
1999-01-06 2008-10-10 NA -0.5696 5588 2457 NA

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0 -0.4 -1.2 0 -1.3 0.4 0.4 -0.4 -0.5 0 -1 0.5 -3.4
2000 -0.5 -1.4 0.9 1.4 1 0.9 -0.4 0.9 -1.4 -0.9 0 -0.4 0
2001 0.9 0 -0.1 0.6 0.3 0.9 -0.6 -0.2 0.1 0.8 0.4 0.5 3.7
2002 1.2 -0.8 0.3 0.5 -0.1 0.1 0.3 0.2 0.1 0.1 0.2 0.2 2.4
2003 0.4 0.4 0.6 0.6 0.3 0 0.1 0.3 -0.8 0.1 -0.1 -0.3 1.7
2004 0.5 -0.3 -0.3 0.7 -1 1.4 0.6 -0.6 -0.1 -0.4 -0.7 0.1 -0.3
2005 0.1 0 0.5 0.2 -0.1 -0.6 -0.1 0.4 0.3 0.5 -0.3 -0.1 0.7
2006 0.1 -0.5 -0.4 -0.3 -0.1 0.7 -0.5 0.2 -0.4 -0.3 0.3 0.6 -0.5
2007 -0.2 0.1 -0.2 0.9 0.1 0.4 -0.5 0.4 -0.4 -0.2 0.6 0 1
2008 0.2 -2.2 0.4 0.6 -0.2 0.8 0.3 -0.5 2.4 -2 -2.5 4.5 1.6
2009 0.1 2 0.5 0.7 -0.8 0.2 0.4 0.2 0.4 -0.3 -0.7 -0.3 2.2
2010 0.4 -0.1 0.2 -0.2 0.1 0.1 1 -0.1 -0.5 -0.2 -2.4 4 2.2
2011 0.6 0.5 -0.2 0 0.9 0.2 1.3 0.2 0.5 0.1 0.2 1.1 5.7
2012 0.4 1.3 0.4 -0.4 -0.4 0.6 0 0.9 0.3 -0.1 -0.3 0.1 2.8
2013 0.1 0.3 0 0.6 -1.4 1.2 -1 0 -0.2 -1.1 -0.5 -0.5 -2.6
2014 0 0.2 -0.3 1.1 0.1 -0.7 0.4 0.2 0.7 0.2 0.1 0.4 2.3
2015 0.4 0.6 0.4 -0.6 0 -0.1 0.4 0 0 0.1 0.6 -0.1 1.7
2016 0.1 0 -0.3 0.1 0.4 0.3 0 0.5 0.2 0 -1.4 0.5 0.4
2017 0.3 -0.5 -0.2 -0.3 0.2 0 0.5 0.2 0.4 0 0.1 0.2 1
2018 -0.3 -0.3 0.4 0.6 0.4 -0.2 0.1 0.3 0.2 -0.4 0.2 0.8 1.7
2019 0.1 -0.3 0.4 0.5 0 0 0.1 0.3 0.1 -0.3 0.2 0.2 1.2
2020 -0.2 -0.8 -2.9 0.6 0.5 0.4 0.6 0.4 0.3 -0.2 0.2 0.8 -0.2
2021 0.1 0.2 -0.4 NA NA NA NA NA NA NA NA NA -0.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  15.8 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  15.9 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  15.8 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  15.8 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  15.8 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  15.7 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart